UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-07732

 

 

ALLIANCEBERNSTEIN GLOBAL HIGH INCOME FUND, INC.

(Exact name of registrant as specified in charter)

 

 

1345 Avenue of the Americas, New York, New York 10105

(Address of principal executive offices) (Zip code)

 

 

Joseph J. Mantineo

AllianceBernstein L.P.

1345 Avenue of the Americas

New York, New York 10105

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: (800) 221-5672

Date of fiscal year end: March 31, 2019

Date of reporting period: September 30, 2018

 

 

 

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ITEM 1. REPORTS TO STOCKHOLDERS.

 

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SEP    ^09.30.18

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Investment Products Offered		•  Are Not FDIC Insured • May Lose Value • Are Not Bank Guaranteed

You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com, or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.

The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year. The Fund’s portfolio holdings reports are available on the Commission’s website at www.sec.gov. The Fund’s portfolio holdings reports may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC 0330.

AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.

The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein^® is a registered service mark used by permission of the owner, AllianceBernstein L.P.

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FROM THE PRESIDENT

Dear Shareholder,

We are pleased to provide this report for AllianceBernstein Global High Income Fund (the “Fund”). Please review the discussion of Fund performance, the market conditions during the reporting period and the Fund’s investment strategy.

As always, AB strives to keep clients ahead of what’s next by:

 

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Transforming uncommon insights into uncommon knowledge with a global research scope

 

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Navigating markets with seasoned investment experience and sophisticated solutions

 

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Providing thoughtful investment insights and actionable ideas

Whether you’re an individual investor or a multi-billion-dollar institution, we put knowledge and experience to work for you.

AB’s global research organization connects and collaborates across platforms and teams to deliver impactful insights and innovative products. Better insights lead to better opportunities—anywhere in the world.

For additional information about AB’s range of products and shareholder resources, please log on to www.abfunds.com.

Thank you for your investment in the AB Mutual Funds.

Sincerely,

 

Robert M. Keith

President and Chief Executive Officer, AB Mutual Funds

 

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SEMI-ANNUAL REPORT

 

November 12, 2018

This report provides management’s discussion of fund performance for AllianceBernstein Global High Income Fund for the semi-annual reporting period ended September 30, 2018. The Fund is a closed-end fund and its shares of common stock trade on the New York Stock Exchange.

The Fund seeks high current income, and secondarily, capital appreciation.

RETURNS AS OF SEPTEMBER 30, 2018 (unaudited)

 

		6 Months				12 Months
ALLIANCEBERNSTEIN GLOBAL HIGH INCOME FUND (NAV)			1.36%				1.08%
Primary Benchmark: Bloomberg Barclays Global High Yield Index (USD hedged)			1.08%				1.06%
Blended Benchmark: 33% JPM GBI-EM / 33% JPM EMBI Global / 33% Bloomberg Barclays US Corporate HY 2% Issuer Capped Index			-4.16%				-3.22%

The Fund’s market price per share on September 30, 2018 was $11.65. The Fund’s NAV per share on September 30, 2018 was $13.26. For additional financial highlights, please see pages 120-121.

INVESTMENT RESULTS

The table above shows the Fund’s performance compared with its primary benchmark, the Bloomberg Barclays Global High Yield Index (USD hedged), as well as its blended benchmark for the six- and 12-month periods ended September 30, 2018. The blended benchmark is composed of equal weightings of the JPMorgan Government Bond Index-Emerging Markets (“JPM GBI-EM”, local currency-denominated), the JPMorgan Emerging Markets Bond Index Global (“JPM EMBI Global”) and the Bloomberg Barclays US Corporate High Yield (“HY”) 2% Issuer Capped Index.

During the six-month period, the Fund outperformed its primary and blended benchmarks. Sector selection contributed relative to the primary benchmark, helped by underweight positions in emerging-market sovereign and corporate bonds, as well as the Fund’s positioning in developed-market high-yield corporates. Security selections within US commercial mortgage-backed securities (“CMBS”) also added to performance. Currency investments detracted, the result of long positions in the Argentine peso, Russian ruble and Indian rupee. A beneficial short position in the Taiwan dollar offset some of these losses. Country allocation was negative, primarily because of an off-benchmark exposure to Brazil, and yield-curve positioning detracted as well.

During the 12-month period, the Fund outperformed its primary and blended benchmarks. Sector allocation contributed to performance, helped

 

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by exposures to US agency risk-sharing transactions and Mexican inflation-linked securities, as well as an underweight in emerging-market sovereigns. Security decisions were also positive because of selections within US high-yield corporates and CMBS. Country allocation added to returns, helped most by an off-benchmark exposure to Mexico. Currency investments detracted primarily because of detrimental long positions in the Argentine peso, Indian rupee and South Korean won. Yield-curve positioning was also negative due to positioning along the UK yield curve.

During both periods, the Fund utilized Treasury futures and interest rate swaps to manage duration, country exposure and yield-curve positioning. Currency forwards and currency options, both written and purchased, were used to hedge currency exposure as well as to manage active currency risk. Currency and exchange-traded fund swaptions, both written and purchased, were used to hedge and take active risk in an effort to add alpha (a measure of how the Fund is performing on a risk-adjusted basis versus its benchmark). Credit default swaps, both single name and index, were used to hedge credit risk and to take active credit risk. Variance swaps were used to take active risk in an effort to add alpha by capturing risk premiums that are similar to high-yield exposure elsewhere in the Fund. Total return swaps were used to create synthetic high-yield exposure in the Fund. The Fund’s utilization of leverage contributed to absolute returns for both periods.

MARKET REVIEW AND INVESTMENT STRATEGY

Fixed-income markets had mixed performance during the six-month period, as volatility spiked in the latter part of the period on tighter monetary policy and the onset of a global trade war. Global high yield outperformed the flat returns of developed-market treasuries, while investment-grade securities ended the period lower. Emerging-market debt sectors generally sold off, coming under pressure from a stronger US dollar, global trade war, a hawkish US Federal Reserve (the “Fed”) and political stress in several emerging-market countries. The Fed raised interest rates twice in the period and began to formally reduce its balance sheet, as widely expected, but in June signaled more rate increases than previously expected for the rest of this year. Meanwhile, the European Central Bank started to scale back asset purchases, but updated forward guidance to say that it would not change its policy rate until summer 2019 at the earliest.

Significant volatility shook a broad swath of capital markets. US yields rose dramatically, with the 10-year Treasury yield moving above the psychologically important 3% level, driven by higher inflation forecasts and expectations for continued rate increases from the Fed. An upsurge in geopolitical uncertainty, including governmental turmoil in Italy, triggered a search for quality. The US administration announced tariffs on imports from China, the European Union, Mexico and Canada, all of which reciprocated with tariffs on the US, triggering a global trade war.

 

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The Fund’s Senior Investment Management Team (the “Team”) seeks to generate high current income and, secondarily, capital appreciation. The Fund is a globally diversified portfolio that takes full advantage of the Team’s best research ideas by pursuing high-income opportunities across all fixed-income sectors. The Fund invests primarily (and without limit) in corporate debt securities from US and non-US issuers, as well as government bonds from both developing and developed countries, including the US. Under normal market conditions, the Fund invests substantially in lower-rated bonds, but may also invest in investment-grade and unrated debt securities.

INVESTMENT POLICIES

The Fund invests without limit in securities denominated in non-US currencies as well as those denominated in the US dollar. The Fund may also invest, without limit, in sovereign debt securities issued by emerging and developed nations and in debt securities of US and non-US corporate issuers. For more information regarding the Fund’s risks, please see “Disclosures and Risks” on pages 5-7 and “Note E—Risks Involved in Investing in the Fund” of the Notes to Financial Statements on pages 114-117.

 

 

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DISCLOSURES AND RISKS

 

AllianceBernstein Global High Income Fund

Shareholder Information

Weekly comparative net asset value (“NAV”) and market price information about the Fund is published each Saturday in Barron’s and in other newspapers in a table called “Closed End Funds”. Daily NAV and market price information, and additional information regarding the Fund, is available at www.abfunds.com and www.nyse.com. For additional shareholder information regarding this Fund, please see pages 122-123.

Benchmark Disclosure

All indices are unmanaged and do not reflect fees and expenses associated with the active management of a fund portfolio. The Bloomberg Barclays Global High Yield Index (USD hedged) represents non-investment grade fixed-income securities of companies in the US, and developed and emerging markets, hedged to the US dollar. The JPM^® GBI-EM represents the performance of local currency government bonds issued by emerging markets. The JPM EMBI Global (market-capitalization weighted) represents the performance of US dollar-denominated Brady bonds, Eurobonds and trade loans issued by sovereign and quasi-sovereign entities. The Bloomberg Barclays US Corporate HY 2% Issuer Capped Index is the 2% Issuer Capped component of the US Corporate High Yield Index, which represents the performance of fixed-income securities having a maximum quality rating of Ba1, a minimum amount outstanding of $150 million and at least one year to maturity. An investor cannot invest directly in an index, and its results are not indicative of the performance of any specific investment, including the Fund.

A Word About Risk

Market Risk: The value of the Fund’s assets will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events that affect large portions of the market.

Interest-Rate Risk: Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest-rate risk is generally greater for fixed-income securities with longer maturities or durations.

Credit Risk: An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security. The degree of risk for a particular security

 

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DISCLOSURES AND RISKS (continued)

 

may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.

Below Investment-Grade Securities Risk: Investments in fixed-income securities with lower ratings (commonly known as “junk bonds”) tend to have a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments, interest-rate sensitivity, negative perceptions of the junk bond market generally and less secondary market liquidity.

Inflation Risk: This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Fund’s assets can decline as can the value of the Fund’s distributions. This risk is significantly greater if the Fund invests a significant portion of its assets in fixed-income securities with longer maturities.

Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be less liquid due to adverse market, economic, political, regulatory or other factors.

Emerging-Market Risk: Investments in emerging-market countries may have more risk because the markets are less developed and less liquid as well as being subject to increased economic, political, regulatory or other uncertainties.

Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Fund’s investments or reduce its returns.

Leverage Risk: As a result of the Fund’s use of leveraging techniques, its NAV may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Fund’s investments.

Diversification Risk: The Fund may have more risk because it is “non-diversified”, meaning that it can invest more of its assets in a smaller number of issuers and that adverse changes in the value of one security could have a more significant effect on the Fund’s NAV.

Derivatives Risk: Investments in derivatives may be illiquid, difficult to price and leveraged so that small changes may produce disproportionate losses for the Fund, and may be subject to counterparty risk to a greater degree than more traditional investments.

 

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DISCLOSURES AND RISKS (continued)

 

Management Risk: The Fund is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. The Fund may invest in mortgage-backed and/or other asset-backed securities, including securities backed by mortgages and assets with an international or emerging-markets origination and securities backed by non-performing loans at the time of investment. Investments in mortgage-backed and other asset-backed securities are subject to certain additional risks. The value of these securities may be particularly sensitive to changes in interest rates. These risks include “extension risk”, which is the risk that, in periods of rising interest rates, issuers may delay the payment of principal, and “prepayment risk”, which is the risk that, in periods of falling interest rates, issuers may pay principal sooner than expected, exposing the Fund to a lower rate of return upon reinvestment of principal. Mortgage-backed securities offered by nongovernmental issuers and other asset-backed securities may be subject to other risks, such as higher rates of default in the mortgages or assets backing the securities or risks associated with the nature and servicing of mortgages or assets backing the securities.

These risks are fully discussed in the Fund’s prospectus. As with all investments, you may lose money by investing in the Fund.

An Important Note About Historical Performance

The performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. All fees and expenses related to the operation of the Fund have been deducted. Performance assumes reinvestment of distributions and does not account for taxes.

 

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PORTFOLIO SUMMARY

September 30, 2018 (unaudited)

 

PORTFOLIO STATISTICS

Net Assets ($mil): $1,143.8

 

 

 

 

1

All data are as of September 30, 2018. The Fund’s security type breakdown is expressed as a percentage of total investments and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” security type weightings represent 0.5% or less in the following security types: Collateralized Loan Obligations, Governments–Sovereign Bonds, Inflation-Linked Securities, Local Governments–Regional Bonds, Options Purchased–Calls, Options Purchased–Puts, Preferred Stocks, Quasi-Sovereigns, Rights, Warrants and Whole Loan Trusts.

 

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PORTFOLIO SUMMARY (continued)

September 30, 2018 (unaudited)

 

 

 

 

1

All data are as of September 30, 2018. The Fund’s country breakdown is expressed as a percentage of total investments and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 0.7% or less in the following countries: Angola, Australia, Bahrain, Cameroon, Cayman Islands, Chile, China, Colombia, Costa Rica, Denmark, Ecuador, Egypt, El Salvador, Finland, Gabon, Germany, Ghana, Guatemala, Honduras, India, Indonesia, Iraq, Israel, Ivory Coast, Jamaica, Jersey (Channel Islands), Jordan, Kazakhstan, Kenya, Lebanon, Macau, Malaysia, Mongolia, Nigeria, Norway, Peru, Russia, Senegal, South Africa, Spain, Sri Lanka, Sweden, Trinidad & Tobago, Turkey, Ukraine, United Arab Emirates, Uruguay, Venezuela and Zambia.

 

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PORTFOLIO OF INVESTMENTS

September 30, 2018 (unaudited)

 

						Principal Amount (000)				U.S. $ Value
CORPORATES – NON-INVESTMENT GRADE – 42.7%
Industrial – 33.7%
Basic – 3.8%
AK Steel Corp. 7.00%, 3/15/27(a)			U.S.$				1,164			$	1,124,559
7.625%, 10/01/21							278				283,560
Alcoa Nederland Holding BV 6.125%, 5/15/28(b)							289				297,889
Ashland LLC 4.75%, 8/15/22							501				505,479
Axalta Coating Systems LLC 4.875%, 8/15/24(b)							516				506,196
Berry Global, Inc. 5.50%, 5/15/22							409				415,391
CF Industries, Inc. 4.95%, 6/01/43							595				526,768
5.375%, 3/15/44							545				507,164
Cleveland-Cliffs, Inc. 5.75%, 3/01/25(a)							1,628				1,583,411
Constellium NV 5.75%, 5/15/24(b)							400				397,437
5.875%, 2/15/26(b)							1,310				1,279,007
Crown Americas LLC/Crown Americas Capital Corp. VI 4.75%, 2/01/26(b)							815				781,420
Eldorado Gold Corp. 6.125%, 12/15/20(b)							1,056				1,003,217
ERP Iron Ore, LLC 9.039%, 12/31/19(c)(d)(e)(f)							336				336,499
FMG Resources (August 2006) Pty Ltd. 5.125%, 3/15/23(b)							119				116,923
Freeport-McMoRan, Inc. 5.45%, 3/15/43							3,414				3,114,893
Grinding Media, Inc./Moly-Cop AltaSteel Ltd. 7.375%, 12/15/23(b)							1,075				1,118,205
Hexion, Inc. 6.625%, 4/15/20							119				112,100
Joseph T Ryerson & Son, Inc. 11.00%, 5/15/22(b)							3,215				3,504,797
Kraton Polymers LLC/Kraton Polymers Capital Corp. 5.25%, 5/15/26(b)			EUR				846				1,006,200
Lecta SA 6.50%, 8/01/23(b)							227				271,973

 

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PORTFOLIO OF INVESTMENTS (continued)

 

				Principal Amount (000)				U.S. $ Value
Magnetation LLC/Mag Finance Corp. 11.00%, 5/15/18(c)(g)(h)(i)		U.S.$			2,857			$	29
Momentive Performance Materials, Inc. 3.88%, 10/24/21					2,604				2,813,718
8.875%, 10/15/20(c)(d)(i)(j)					2,604				– 0	–
Multi-Color Corp. 4.875%, 11/01/25(b)					980				916,469
New Gold, Inc. 6.25%, 11/15/22(b)					286				249,733
Novelis Corp. 5.875%, 9/30/26(b)					1,573				1,538,504
Nufarm Australia Ltd./Nufarm Americas, Inc. 5.75%, 4/30/26(b)					489				463,083
OCI NV 5.00%, 4/15/23(b)		EUR			1,300				1,590,684
6.625%, 4/15/23(b)		U.S.$			840				871,401
Pactiv LLC 7.95%, 12/15/25					1,110				1,191,636
Peabody Energy Corp. 6.00%, 3/31/22(b)					295				299,941
6.375%, 3/31/25(b)					400				406,865
Plastipak Holdings, Inc. 6.25%, 10/15/25(b)					1,922				1,756,231
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu 5.125%, 7/15/23(b)					781				776,307
Sealed Air Corp. 6.875%, 7/15/33(b)					1,295				1,395,215
SIG Combibloc Holdings SCA 7.75%, 2/15/23(b)		EUR			682				822,520
Smurfit Kappa Treasury Funding DAC 7.50%, 11/20/25		U.S.$			238				280,259
SPCM SA 4.875%, 9/15/25(b)					975				928,722
Starfruit Finco BV/Starfruit US Holdco LLC 6.50%, 10/01/26		EUR			1,010				1,184,035
8.00%, 10/01/26(b)		U.S.$			515				522,725
Teck Resources Ltd. 5.20%, 3/01/42					2,374				2,191,050
5.40%, 2/01/43					1,454				1,371,302
6.00%, 8/15/40					470				479,432
6.25%, 7/15/41					238				249,883
United States Steel Corp. 6.25%, 3/15/26					295				292,811
6.875%, 8/15/25					894				915,159
Valvoline, Inc. 5.50%, 7/15/24					278				278,473

 

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PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
W.R. Grace & Co.-Conn 5.625%, 10/01/24(b)			U.S.$				386			$	406,160
											42,985,435
Capital Goods – 1.7%
Arconic, Inc. 5.90%, 2/01/27							119				121,181
ARD Finance SA 6.625% (6.625% Cash or 7.375% PIK), 9/15/23(f)			EUR				1,126				1,346,606
7.125% (7.125% Cash or 7.875% PIK), 9/15/23(f)			U.S.$				200				202,075
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 6.00%, 2/15/25(b)							200				196,368
6.75%, 5/15/24(b)			EUR				2,004				2,521,393
B456 Systems, Inc. 3.75%, 4/15/16(c)(e)(h)(i)(k)			U.S.$				955				66,850
BBA US Holdings, Inc. 5.375%, 5/01/26(b)							402				403,447
Bombardier, Inc. 5.75%, 3/15/22(b)							975				979,875
6.00%, 10/15/22(b)							261				261,728
6.125%, 1/15/23(b)							738				742,181
7.50%, 3/15/25(b)							1,789				1,849,219
BWAY Holding Co. 4.75%, 4/15/24(b)			EUR				890				1,059,873
5.50%, 4/15/24(b)			U.S.$				1,073				1,055,431
7.25%, 4/15/25(b)							784				765,433
Cleaver-Brooks, Inc. 7.875%, 3/01/23(b)							505				516,943
Gates Global LLC/Gates Global Co. 6.00%, 7/15/22(b)							352				354,653
GFL Environmental, Inc. 5.375%, 3/01/23(b)							103				97,169
5.625%, 5/01/22(b)							403				390,104
Hulk Finance Corp. 7.00%, 6/01/26(b)							688				664,358
Jeld-Wen, Inc. 4.625%, 12/15/25(b)							128				118,086
4.875%, 12/15/27(b)							182				166,078
Liberty Tire Recycling LLC 9.50%, 1/15/23(c)(d)(g)							559				559,251
Stevens Holding Co., Inc. 6.125%, 10/01/26(b)							141				143,339

 

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PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Textron Financial Corp. 4.049% (LIBOR 3 Month + 1.74%), 2/15/42(b)(l)			U.S.$				575			$	502,158
TransDigm, Inc. 6.375%, 6/15/26							2,335				2,357,771
6.50%, 7/15/24							1,572				1,612,763
Waste Pro USA, Inc. 5.50%, 2/15/26(b)							762				743,316
											19,797,649
Communications - Media – 4.4%
Altice Financing SA 6.625%, 2/15/23(b)							2,892				2,914,049
7.50%, 5/15/26(b)							1,782				1,732,227
Altice France SA/France 5.625%, 5/15/24(b)			EUR				386				468,408
6.25%, 5/15/24(b)			U.S.$				400				394,785
7.375%, 5/01/26(b)							2,923				2,918,385
8.125%, 2/01/27(b)							665				683,287
Altice Luxembourg SA 7.25%, 5/15/22(a)(b)			EUR				1,332				1,541,918
7.75%, 5/15/22(a)(b)			U.S.$				1,770				1,716,551
Altice US Finance I Corp. 5.50%, 5/15/26(b)							200				200,048
CCO Holdings LLC/CCO Holdings Capital Corp. 5.00%, 2/01/28(b)							119				111,579
5.125%, 5/01/27(b)							160				151,883
5.375%, 5/01/25(b)							128				127,071
5.75%, 1/15/24							166				168,729
5.75%, 2/15/26(b)							400				401,008
5.875%, 5/01/27(b)							499				494,490
Cequel Communications Holdings I LLC/Cequel Capital Corp. 7.50%, 4/01/28(b)							1,857				1,947,375
7.75%, 7/15/25(b)							861				915,072
Clear Channel Worldwide Holdings, Inc. Series A 6.50%, 11/15/22							555				565,446
Series B 6.50%, 11/15/22							2,654				2,704,944
CSC Holdings LLC 5.375%, 2/01/28(b)							1,502				1,430,200
6.625%, 10/15/25(b)							274				288,728
10.875%, 10/15/25(b)							765				889,646
DISH DBS Corp. 5.00%, 3/15/23							884				801,244

 

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PORTFOLIO OF INVESTMENTS (continued)

 

				Principal Amount (000)				U.S. $ Value
5.875%, 11/15/24		U.S.$			2,345			$	2,104,267
6.75%, 6/01/21					820				837,283
Gray Television, Inc. 5.125%, 10/15/24(b)					1,037				1,006,068
iHeartCommunications, Inc. 6.875%, 6/15/18(c)(e)(h)(i)					2,016				465,355
9.00%, 12/15/19(i)(m)					927				703,447
10.625%, 3/15/23(i)(m)					142				106,599
11.25%, 3/01/21(i)(m)					535				401,943
11.25%, 3/01/21(b)(i)(m)					254				173,827
Liberty Interactive LLC 3.75%, 2/15/30(k)					879				602,314
Meredith Corp. 6.875%, 2/01/26(b)					1,627				1,666,883
Netflix, Inc. 4.375%, 11/15/26					1,552				1,455,684
4.875%, 4/15/28(b)					1,221				1,146,518
Outfront Media Capital LLC/Outfront Media Capital Corp. 5.25%, 2/15/22					648				656,611
Radiate Holdco LLC/Radiate Finance, Inc. 6.625%, 2/15/25(b)					1,057				989,789
6.875%, 2/15/23(b)					451				433,851
Sinclair Television Group, Inc. 6.125%, 10/01/22					1,487				1,516,869
Sirius XM Radio, Inc. 5.00%, 8/01/27(b)					119				114,430
TEGNA, Inc. 5.50%, 9/15/24(b)					162				163,919
6.375%, 10/15/23					718				740,437
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5.00%, 1/15/25(b)					1,078				1,097,163
6.25%, 1/15/29(b)		EUR			446				584,271
UPC Holding BV 5.50%, 1/15/28(b)		U.S.$			2,223				2,104,825
UPCB Finance IV Ltd. 5.375%, 1/15/25(b)					200				199,653
Urban One, Inc. 7.375%, 4/15/22(b)					1,400				1,386,000
Virgin Media Finance PLC 5.25%, 2/15/22					559				555,645
Virgin Media Receivables Financing Notes I DAC 5.50%, 9/15/24(b)		GBP			128				167,252
Virgin Media Secured Finance PLC 5.25%, 1/15/26(b)		U.S.$			200				195,632

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
5.50%, 1/15/25(b)			GBP				423			$	565,283
Ziggo Bond Co. BV 7.125%, 5/15/24(b)			EUR				968				1,201,467
Ziggo Bond Finance BV 5.875%, 1/15/25(b)			U.S.$				1,034				968,553
6.00%, 1/15/27(b)							815				744,186
Ziggo BV 5.50%, 1/15/27(b)							1,363				1,274,927
											49,898,024
Communications - Telecommunications – 2.8%
Arqiva Broadcast Finance PLC 9.50%, 3/31/20(b)			GBP				1,086				1,449,110
C&W Senior Financing DAC 6.875%, 9/15/27(b)			U.S.$				1,047				1,047,668
CB T-Mobile USA, Inc. 6.00%, 3/01/23(c)(i)							743				– 0	–
6.375%, 3/01/25(c)(i)							655				– 0	–
CenturyLink, Inc. Series T 5.80%, 3/15/22							119				121,053
Cincinnati Bell, Inc. 7.00%, 7/15/24(b)							1,151				1,058,173
DKT Finance ApS 7.00%, 6/17/23(b)			EUR				989				1,227,492
Embarq Corp. 7.995%, 6/01/36			U.S.$				1,513				1,511,313
Frontier Communications Corp. 6.875%, 1/15/25							45				27,511
7.125%, 1/15/23							662				470,469
7.625%, 4/15/24							1,118				720,186
7.875%, 1/15/27							834				491,016
Hughes Satellite Systems Corp. 6.625%, 8/01/26							784				759,799
7.625%, 6/15/21							1,437				1,552,256
Intelsat Jackson Holdings SA 5.50%, 8/01/23							1,675				1,545,397
8.00%, 2/15/24(b)							216				227,340
9.50%, 9/30/22(b)							516				599,686
9.75%, 7/15/25(b)							1,262				1,338,398
Level 3 Financing, Inc. 5.25%, 3/15/26							205				201,915
5.375%, 8/15/22-1/15/24							1,278				1,282,623
6.125%, 1/15/21							596				599,167
Level 3 Parent LLC 5.75%, 12/01/22							160				161,701

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Qwest Corp. 6.875%, 9/15/33			U.S.$				1,335			$	1,326,034
Sable International Finance Ltd. 6.875%, 8/01/22(b)							454				473,873
Sprint Capital Corp. 6.875%, 11/15/28							1,875				1,883,616
8.75%, 3/15/32							215				241,705
Sprint Corp. 7.875%, 9/15/23							707				760,820
T-Mobile USA, Inc. 4.75%, 2/01/28							119				111,864
6.00%, 3/01/23							743				764,971
6.375%, 3/01/25							655				682,219
Telecom Italia Capital SA 7.20%, 7/18/36							483				505,190
7.721%, 6/04/38							1,759				1,881,069
Telecom Italia SpA/Milano 5.303%, 5/30/24(b)							1,002				975,787
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC 6.00%, 4/15/23(b)							1,113				1,087,106
Wind Tre SpA 5.00%, 1/20/26(b)							2,265				1,966,897
Windstream Services LLC/Windstream Finance Corp. 9.00%, 6/30/25(b)							1,372				1,059,657
Zayo Group LLC/Zayo Capital, Inc. 5.75%, 1/15/27(b)							300				299,862
6.00%, 4/01/23							488				503,255
6.375%, 5/15/25							1,187				1,232,257
											32,148,455
Consumer Cyclical - Automotive – 1.7%
Adient Global Holdings Ltd. 4.875%, 8/15/26(b)							1,523				1,356,554
American Axle & Manufacturing, Inc. 6.25%, 4/01/25(a)							1,040				1,036,698
BCD Acquisition, Inc. 9.625%, 9/15/23(b)							2,264				2,419,824
Cooper-Standard Automotive, Inc. 5.625%, 11/15/26(b)							670				657,565
Dana Financing Luxembourg SARL 5.75%, 4/15/25(b)							215				212,312
6.50%, 6/01/26(b)							602				614,699
Exide Technologies 7.00%, 4/30/25(c)(f)(g)(k)							4,728				3,026,180
11.00%, 4/30/22(c)(f)(g)							4,299				3,847,982

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Goodyear Tire & Rubber Co. (The) 5.00%, 5/31/26			U.S.$				119			$	111,984
7.00%, 3/15/28							400				420,004
IHO Verwaltungs GmbH 4.125% (4.125% Cash or 4.875% PIK), 9/15/21(b)(f)							889				882,140
Meritor, Inc. 6.25%, 2/15/24							305				310,835
Navistar International Corp. 6.625%, 11/01/25(b)							1,126				1,171,230
Tenneco, Inc. 5.00%, 7/15/26							2,174				1,933,395
Tesla, Inc. 5.30%, 8/15/25(b)							665				562,698
Titan International, Inc. 6.50%, 11/30/23							1,093				1,059,369
											19,623,469
Consumer Cyclical - Entertainment – 0.4%
AMC Entertainment Holdings, Inc. 5.875%, 11/15/26							1,580				1,511,753
Silversea Cruise Finance Ltd. 7.25%, 2/01/25(b)							1,409				1,533,919
VOC Escrow Ltd. 5.00%, 2/15/28(b)							1,076				1,035,717
											4,081,389
Consumer Cyclical - Other – 2.5%
Beazer Homes USA, Inc. 5.875%, 10/15/27							705				599,427
6.75%, 3/15/25							1,400				1,298,783
8.75%, 3/15/22							99				104,660
Caesars Entertainment Corp. 5.00%, 10/01/24(c)(k)							121				196,738
Cooperativa Muratori & Cementisti-CMC di Ravenna SC 6.00%, 2/15/23(b)			EUR				276				176,358
Diamond Resorts International, Inc. 7.75%, 9/01/23(a)(b)			U.S.$				1,206				1,236,044
Five Point Operating Co. LP/Five Point Capital Corp. 7.875%, 11/15/25(b)							1,969				1,979,542
International Game Technology PLC 6.25%, 2/15/22(b)							977				1,011,855

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

				Principal Amount (000)				U.S. $ Value
James Hardie International Finance DAC 4.75%, 1/15/25(b)		U.S.$			285			$	275,736
5.00%, 1/15/28(b)					273				257,575
K. Hovnanian Enterprises, Inc. 5.00%, 11/01/21					2,257				2,016,345
10.00%, 7/15/22(b)					389				387,542
10.50%, 7/15/24(b)					389				374,122
KB Home 7.00%, 12/15/21					536				568,277
7.50%, 9/15/22					494				530,988
Lennar Corp. 6.625%, 5/01/20					1,332				1,385,498
LHMC Finco SARL 6.25%, 12/20/23(b)		EUR			288				346,152
7.875%, 12/20/23(b)		U.S.$			865				881,531
Marriott Ownership Resorts, Inc. 6.50%, 9/15/26(b)					1,225				1,256,987
MDC Holdings, Inc. 5.50%, 1/15/24					150				150,678
6.00%, 1/15/43					2,908				2,487,230
MGM Resorts International 5.75%, 6/15/25					119				119,484
Pinnacle Entertainment, Inc. 5.625%, 5/01/24					829				875,123
PulteGroup, Inc. 5.00%, 1/15/27					115				109,043
5.50%, 3/01/26					119				118,354
6.00%, 2/15/35					500				470,923
7.875%, 6/15/32					1,400				1,505,412
Shea Homes LP/Shea Homes Funding Corp. 5.875%, 4/01/23(b)					420				412,750
6.125%, 4/01/25(b)					830				809,801
Standard Industries, Inc./NJ 4.75%, 1/15/28(b)					119				109,960
6.00%, 10/15/25(b)					977				998,983
Stars Group Holdings BV/Stars Group US Co-Borrower LLC 7.00%, 7/15/26(b)					1,015				1,047,074
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. 5.875%, 5/15/25(b)					1,785				1,684,999
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc. 5.875%, 4/15/23(b)					875				881,563
Toll Brothers Finance Corp. 4.875%, 3/15/27					1,124				1,074,529

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25%, 5/15/27(b)			U.S.$				119			$	110,294
5.50%, 3/01/25(b)							785				759,293
											28,609,653
Consumer Cyclical - Restaurants – 0.2%
Golden Nugget, Inc. 6.75%, 10/15/24(b)							933				946,273
8.75%, 10/01/25(b)							784				820,859
IRB Holding Corp. 6.75%, 2/15/26(b)							453				443,997
											2,211,129
Consumer Cyclical - Retailers – 0.9%
Dufry Finance SCA 4.50%, 8/01/23(b)			EUR				1,208				1,452,524
FirstCash, Inc. 5.375%, 6/01/24(b)			U.S.$				1,312				1,316,934
JC Penney Corp., Inc. 6.375%, 10/15/36							421				182,389
7.40%, 4/01/37							486				196,934
L Brands, Inc. 5.25%, 2/01/28							1,416				1,219,697
7.60%, 7/15/37							1,000				810,030
Levi Strauss & Co. 5.00%, 5/01/25							1,150				1,146,312
Neiman Marcus Group Ltd. LLC 8.00%, 10/15/21(b)							2,115				1,391,378
8.75% (8.75% Cash or 9.50% PIK), 10/15/21(b)(f)							424				279,691
PetSmart, Inc. 7.125%, 3/15/23(b)							1,140				817,950
Sonic Automotive, Inc. 5.00%, 5/15/23							534				502,039
6.125%, 3/15/27							817				767,343
											10,083,221
Consumer Non-Cyclical – 3.2%
Air Medical Group Holdings, Inc. 6.375%, 5/15/23(b)							820				738,144
Albertsons Cos. LLC/Safeway, Inc./New Albertsons LP/Albertson’s LLC 5.75%, 3/15/25							1,058				952,181
6.625%, 6/15/24(a)							1,712				1,646,590

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

				Principal Amount (000)				U.S. $ Value
Avantor, Inc. 9.00%, 10/01/25(b)		U.S.$			665			$	687,166
Aveta, Inc. 10.50%, 3/01/21(c)(d)(g)(i)					13,116				– 0	–
Bausch Health Cos., Inc. 5.50%, 3/01/23(b)					1,014				975,936
5.625%, 12/01/21(b)					1,172				1,169,517
5.875%, 5/15/23(b)					1,146				1,114,485
Catalent Pharma Solutions, Inc. 4.75%, 12/15/24(b)		EUR			400				489,173
4.875%, 1/15/26(b)		U.S.$			416				400,210
Charles River Laboratories International, Inc. 5.50%, 4/01/26(b)					242				246,404
CHS/Community Health Systems, Inc. 6.25%, 3/31/23					1,116				1,059,995
8.125%, 6/30/24(a)(b)					635				528,455
DaVita, Inc. 5.00%, 5/01/25					1,314				1,259,586
Diamond BC BV 5.625%, 8/15/25(a)(b)		EUR			362				393,023
Eagle Holding Co. II LLC 7.625% (7.625% Cash or 8.375% PIK), 5/15/22(b)(f)		U.S.$			179				181,300
Endo Dac/Endo Finance LLC/Endo Finco, Inc. 6.00%, 7/15/23(b)					790				701,125
Endo Finance LLC 5.75%, 1/15/22(b)					1,228				1,148,478
Endo Finance LLC/Endo Finco, Inc. 5.375%, 1/15/23(b)					200				176,740
First Quality Finance Co., Inc. 4.625%, 5/15/21(b)					3,247				3,243,480
Hadrian Merger Sub, Inc. 8.50%, 5/01/26(b)					784				748,725
HCA, Inc. 4.25%, 10/15/19					1,475				1,487,816
4.50%, 2/15/27					135				132,278
5.00%, 3/15/24					400				410,049
5.25%, 6/15/26					235				241,748
5.875%, 2/15/26					180				187,484
Kinetic Concepts, Inc./KCI USA, Inc. 7.875%, 2/15/21(b)					506				523,062
Lamb Weston Holdings, Inc. 4.625%, 11/01/24(b)					439				429,226
Mallinckrodt International Finance SA 4.75%, 4/15/23					1,475				1,260,028

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Mallinckrodt International Finance SA/Mallinckrodt CB LLC 5.50%, 4/15/25(b)			U.S.$				296			$	249,091
5.625%, 10/15/23(b)							394				348,690
5.75%, 8/01/22(b)							1,281				1,181,559
MEDNAX, Inc. 5.25%, 12/01/23(b)							541				543,154
MPH Acquisition Holdings LLC 7.125%, 6/01/24(b)							1,563				1,620,131
Post Holdings, Inc. 5.00%, 8/15/26(b)							442				418,652
5.50%, 3/01/25(b)							642				638,967
5.625%, 1/15/28(b)							830				799,937
5.75%, 3/01/27(b)							90				88,425
RegionalCare Hospital Partners Holdings, Inc. 8.25%, 5/01/23(b)							119				124,991
Spectrum Brands, Inc. 4.00%, 10/01/26(b)			EUR				530				624,002
6.125%, 12/15/24			U.S.$				361				369,824
6.625%, 11/15/22							560				574,725
Sunshine Mid BV 6.50%, 5/15/26(b)			EUR				823				934,892
Synlab Unsecured Bondco PLC 8.25%, 7/01/23(b)							700				866,110
Tenet Healthcare Corp.
6.00%, 10/01/20			U.S.$				95				98,095
6.75%, 6/15/23							1,973				1,966,406
7.00%, 8/01/25(a)							119				117,505
8.125%, 4/01/22							752				792,479
Vizient, Inc. 10.375%, 3/01/24(b)							774				847,525
Voyage Care BondCo PLC 5.875%, 5/01/23(b)			GBP				891				1,098,817
											36,836,381
Energy – 7.4%
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. 7.875%, 12/15/24			U.S.$				1,562				1,488,644
Antero Resources Corp. 5.125%, 12/01/22							789				800,932
Berry Petroleum Co. LLC 6.375%, 9/15/22(c)(d)(e)(i)							2,383				– 0	–
Bristow Group, Inc. 8.75%, 3/01/23(b)							500				487,942

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

				Principal Amount (000)				U.S. $ Value
Bruin E&P Partners LLC 8.875%, 8/01/23(b)		U.S.$			1,718			$	1,776,860
California Resources Corp. 5.50%, 9/15/21					299				275,409
8.00%, 12/15/22(b)					3,925				3,748,100
Carrizo Oil & Gas, Inc. 6.25%, 4/15/23					642				657,440
7.50%, 9/15/20					54				54,142
8.25%, 7/15/25					301				325,051
Cheniere Corpus Christi Holdings LLC 7.00%, 6/30/24					783				858,512
Cheniere Energy Partners LP 5.25%, 10/01/25					1,055				1,057,501
Chesapeake Energy Corp. 4.875%, 4/15/22					1,528				1,486,446
5.75%, 3/15/23					610				594,886
6.125%, 2/15/21					335				343,697
8.00%, 1/15/25-6/15/27					766				785,794
Covey Park Energy LLC/Covey Park Finance Corp. 7.50%, 5/15/25(b)					1,015				1,030,822
Denbury Resources, Inc. 7.50%, 2/15/24(b)					824				849,748
9.25%, 3/31/22(b)					604				652,320
Diamond Offshore Drilling, Inc. 7.875%, 8/15/25					3,240				3,369,082
Energy Transfer Equity LP 4.25%, 3/15/23					2,203				2,194,062
7.50%, 10/15/20					309				330,701
Ensco PLC 4.50%, 10/01/24					290				249,369
5.20%, 3/15/25					1,066				930,173
7.75%, 2/01/26					435				430,646
EP Energy LLC/Everest Acquisition Finance, Inc. 7.75%, 9/01/22					1,634				1,257,775
7.75%, 5/15/26(b)					665				681,820
8.00%, 2/15/25(b)					1,372				1,050,274
9.375%, 5/01/24(b)					1,076				890,958
Genesis Energy LP/Genesis Energy Finance Corp. 5.625%, 6/15/24					412				389,328
6.25%, 5/15/26					1,327				1,262,298
6.50%, 10/01/25					1,146				1,114,603
6.75%, 8/01/22					173				176,504
Gulfport Energy Corp. 6.00%, 10/15/24					515				502,593

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

				Principal Amount (000)				U.S. $ Value
6.375%, 5/15/25(a)		U.S.$			1,054			$	1,038,833
6.375%, 1/15/26					1,718				1,671,427
Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp. 5.625%, 2/15/26(b)					1,587				1,603,470
HighPoint Operating Corp. 7.00%, 10/15/22					534				531,180
8.75%, 6/15/25					637				671,545
Hilcorp Energy I LP/Hilcorp Finance Co. 5.00%, 12/01/24(b)					593				578,448
5.75%, 10/01/25(b)					1,610				1,617,372
Indigo Natural Resources LLC 6.875%, 2/15/26(b)					1,095				1,061,410
Laredo Petroleum, Inc. 6.25%, 3/15/23					787				788,469
Murphy Oil USA, Inc. 5.625%, 5/01/27					69				68,877
6.00%, 8/15/23					716				737,484
Nabors Industries, Inc. 4.625%, 9/15/21					996				982,423
5.50%, 1/15/23					1,784				1,758,582
5.75%, 2/01/25(b)					470				450,973
Noble Holding International Ltd. 5.25%, 3/15/42					191				138,065
6.20%, 8/01/40					276				214,274
7.75%, 1/15/24					1,746				1,731,047
7.95%, 4/01/25					375				365,946
Parkland Fuel Corp. 6.00%, 4/01/26(b)					1,147				1,149,537
PDC Energy, Inc. 5.75%, 5/15/26					1,447				1,376,943
6.125%, 9/15/24					1,185				1,162,997
Precision Drilling Corp. 7.125%, 1/15/26(b)					787				808,704
QEP Resources, Inc. 5.25%, 5/01/23					1,809				1,764,553
5.625%, 3/01/26					31				29,674
Range Resources Corp. 4.875%, 5/15/25(a)					948				900,256
5.00%, 8/15/22-3/15/23					1,031				1,017,119
5.875%, 7/01/22					97				98,531
Rowan Cos., Inc. 5.40%, 12/01/42					536				399,732
7.375%, 6/15/25					1,285				1,275,071
Sanchez Energy Corp. 6.125%, 1/15/23					2,942				1,682,383
7.25%, 2/15/23(b)					790				778,937

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

				Principal Amount (000)				U.S. $ Value
SandRidge Energy, Inc. 7.50%, 2/15/23(c)(d)(e)(i)		U.S.$			865			$	– 0	–
8.125%, 10/15/22(c)(d)(e)(i)					2,076				– 0	–
SemGroup Corp. 6.375%, 3/15/25					594				583,689
7.25%, 3/15/26					540				538,667
SemGroup Corp./Rose Rock Finance Corp. 5.625%, 11/15/23					438				426,471
SM Energy Co. 5.00%, 1/15/24					1,341				1,310,921
5.625%, 6/01/25(a)					1,150				1,146,526
6.625%, 1/15/27					416				429,798
Southern Star Central Corp. 5.125%, 7/15/22(b)					1,200				1,198,630
SRC Energy, Inc. 6.25%, 12/01/25					800				752,082
Sunoco LP/Sunoco Finance Corp. 5.50%, 2/15/26(b)					1,355				1,308,277
5.875%, 3/15/28(b)					1,026				988,859
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 5.125%, 2/01/25					215				216,614
5.875%, 4/15/26(b)					1,050				1,082,812
Transocean Phoenix 2 Ltd. 7.75%, 10/15/24(b)					1,034				1,093,735
Transocean, Inc. 6.80%, 3/15/38					2,225				1,925,048
7.50%, 1/15/26(b)					791				816,494
9.00%, 7/15/23(b)					712				776,407
Vantage Drilling International 7.125%, 4/01/23(c)(d)(e)(i)					1,283				– 0	–
7.50%, 11/01/19(c)(d)(e)(i)					2,176				– 0	–
10.00%, 12/31/20(c)(g)					87				85,260
10.00%, 12/31/20(c)(e)					105				101,850
Vine Oil & Gas LP/Vine Oil & Gas Finance Corp. 8.75%, 4/15/23(b)					2,406				2,371,681
Weatherford International LLC 9.875%, 3/01/25(b)					614				593,297
Weatherford International Ltd. 5.875%, 7/01/21(k)					154				145,548
6.50%, 8/01/36					752				570,891
6.75%, 9/15/40					849				655,026
7.00%, 3/15/38					409				320,819
7.75%, 6/15/21					962				944,971
9.875%, 2/15/24					806				789,826

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Whiting Petroleum Corp. 1.25%, 4/01/20(k)			U.S.$				542			$	519,806
5.75%, 3/15/21							211				216,247
6.25%, 4/01/23							483				499,976
6.625%, 1/15/26							771				801,231
WPX Energy, Inc. 5.75%, 6/01/26							528				535,799
8.25%, 8/01/23							187				213,180
											84,519,132
Other Industrial – 0.7%
Algeco Global Finance PLC 8.00%, 2/15/23(b)							1,821				1,863,632
American Tire Distributors, Inc. 10.25%, 3/01/22(b)							2,231				596,324
Global Partners LP/GLP Finance Corp. 6.25%, 7/15/22							2,976				2,944,755
H&E Equipment Services, Inc. 5.625%, 9/01/25							437				436,074
KAR Auction Services, Inc. 5.125%, 6/01/25(b)							458				446,206
Laureate Education, Inc. 8.25%, 5/01/25(b)							1,953				2,091,577
											8,378,568
Services – 1.7%
ADT Security Corp. (The) 4.125%, 6/15/23							119				113,771
Aptim Corp. 7.75%, 6/15/25(a)(b)							927				798,849
APX Group, Inc. 7.875%, 12/01/22							3,335				3,401,060
8.75%, 12/01/20							693				693,060
Aramark Services, Inc. 5.00%, 2/01/28(b)							686				673,282
5.125%, 1/15/24							274				277,053
Carlson Travel, Inc. 6.75%, 12/15/23(b)							782				786,234
Carriage Services, Inc. 6.625%, 6/01/26(b)							698				714,633
eDreams ODIGEO SA 5.50%, 9/01/23			EUR				478				557,894
Financial & Risk US Holdings, Inc. 6.25%, 5/15/26(b)			U.S.$				337				338,231
8.25%, 11/15/26(b)							316				314,054
Gartner, Inc. 5.125%, 4/01/25(b)							482				484,821

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
GEO Group, Inc. (The) 5.125%, 4/01/23			U.S.$				162			$	155,478
5.875%, 1/15/22-10/15/24							670				667,525
6.00%, 4/15/26							677				649,921
Monitronics International, Inc. 9.125%, 4/01/20(a)							958				718,756
Nielsen Finance LLC/Nielsen Finance Co. 5.00%, 4/15/22(b)							599				583,948
Prime Security Services Borrower LLC/Prime Finance, Inc. 9.25%, 5/15/23(b)							2,446				2,620,160
Ritchie Bros Auctioneers, Inc. 5.375%, 1/15/25(b)							366				366,010
Sabre GLBL, Inc. 5.25%, 11/15/23(b)							607				607,808
5.375%, 4/15/23(b)							720				724,180
Team Health Holdings, Inc. 6.375%, 2/01/25(a)(b)							1,645				1,443,381
Verscend Escrow Corp. 9.75%, 8/15/26(b)							1,659				1,712,513
											19,402,622
Technology – 1.5%
Amkor Technology, Inc. 6.375%, 10/01/22							2,681				2,728,443
Banff Merger Sub, Inc. 9.75%, 9/01/26(b)							2,496				2,536,875
Dell International LLC/EMC Corp. 7.125%, 6/15/24(b)							251				269,209
Dell, Inc. 6.50%, 4/15/38							1,671				1,646,097
Goodman Networks, Inc. 8.00%, 5/11/22(c)							664				448,980
Infor Software Parent LLC/Infor Software Parent, Inc. 7.125% (7.125% Cash or 7.875% PIK), 5/01/21(b)(f)							279				282,104
Infor US, Inc. 6.50%, 5/15/22							1,286				1,302,463
IQVIA, Inc. 3.25%, 3/15/25(b)			EUR				782				925,269
Nokia Oyj 6.625%, 5/15/39			U.S.$				527				569,896
Rackspace Hosting, Inc. 8.625%, 11/15/24(b)							119				115,824
Solera LLC/Solera Finance, Inc. 10.50%, 3/01/24(b)							2,005				2,194,559

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Veritas US, Inc./Veritas Bermuda Ltd. 7.50%, 2/01/23(b)			U.S.$				624			$	605,614
10.50%, 2/01/24(b)							2,114				1,932,739
West Corp. 8.50%, 10/15/25(b)							784				720,853
Western Digital Corp. 4.75%, 2/15/26							1,087				1,052,880
											17,331,805
Transportation - Services – 0.8%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 5.50%, 4/01/23							643				640,070
Europcar Mobility Group 5.75%, 6/15/22(b)			EUR				670				800,599
Herc Rentals, Inc. 7.75%, 6/01/24(b)			U.S.$				1,331				1,434,224
Hertz Corp. (The) 5.50%, 10/15/24(a)(b)							2,926				2,428,837
7.625%, 6/01/22(b)							665				656,351
Hertz Holdings Netherlands BV 5.50%, 3/30/23			EUR				1,117				1,324,549
Loxam SAS 3.50%, 4/15/22(b)							186				222,994
4.25%, 4/15/24(b)							138				169,396
United Rentals North America, Inc. 5.50%, 5/15/27			U.S.$				477				472,486
5.75%, 11/15/24							1,005				1,035,218
XPO Logistics, Inc. 6.125%, 9/01/23(b)							522				540,929
											9,725,653
											385,632,585
Financial Institutions – 7.6%
Banking – 4.5%
Allied Irish Banks PLC Series E 7.375%, 12/03/20(b)(n)			EUR				871				1,105,250
Ally Financial, Inc. 8.00%, 11/01/31			U.S.$				2,251				2,733,118
Banco Bilbao Vizcaya Argentaria SA 5.875%, 5/24/22(b)(n)			EUR				1,200				1,415,347
6.75%, 2/18/20(b)(n)							800				966,027
8.875%, 4/14/21(b)(n)							1,000				1,298,925
Banco Santander SA 6.25%, 3/12/19-9/11/21(b)(n)							1,200				1,434,297
6.75%, 4/25/22(b)(n)							900				1,126,188

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

				Principal Amount (000)				U.S. $ Value
Bank of Ireland 7.375%, 6/18/20(b)(n)		EUR			1,455			$	1,827,508
Barclays Bank PLC 6.86%, 6/15/32(b)(n)		U.S.$			166				180,341
Barclays PLC 7.25%, 3/15/23(b)(n)		GBP			219				294,859
7.75%, 9/15/23(n)		U.S.$			420				422,285
8.00%, 12/15/20(n)		EUR			1,732				2,214,968
CIT Group, Inc. 6.125%, 3/09/28		U.S.$			588				614,937
Citigroup, Inc. 5.95%, 1/30/23(n)					2,689				2,745,006
Citizens Financial Group, Inc. Series B 6.00%, 7/06/23(n)					970				987,334
Credit Agricole SA 7.589%, 1/30/20(b)(n)		GBP			1,000				1,383,686
8.125%, 12/23/25(b)(n)		U.S.$			1,909				2,098,246
Credit Suisse Group AG 6.25%, 12/18/24(b)(n)					1,404				1,386,447
7.50%, 12/11/23(b)(n)					3,043				3,225,580
Danske Bank A/S 6.125%, 3/28/24(b)(n)					265				243,891
Series E 5.875%, 4/06/22(b)(n)		EUR			1,096				1,295,411
Goldman Sachs Group, Inc. (The) Series P 5.00%, 11/10/22(n)		U.S.$			1,599				1,514,522
ING Groep NV 6.50%, 4/16/25(n)					520				503,100
6.875%, 4/16/22(b)(n)					250				253,896
Intesa Sanpaolo SpA 3.928%, 9/15/26(b)		EUR			227				263,851
5.017%, 6/26/24(b)		U.S.$			331				299,946
5.71%, 1/15/26(b)					1,232				1,122,559
Lloyds Banking Group PLC 6.413%, 10/01/35(b)(n)					235				237,997
6.657%, 5/21/37(b)(n)					98				100,029
7.625%, 6/27/23(b)(n)		GBP			1,760				2,481,086
Royal Bank of Scotland Group PLC 2.011% (EURIBOR 3 Month + 2.33%), 12/31/18(b)(l)(n)		EUR			150				167,682
8.625%, 8/15/21(n)		U.S.$			3,518				3,760,348
Series U 4.706% (LIBOR 3 Month + 2.32%), 9/30/27(a)(l)(n)					1,100				1,035,563

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
SNS Bank NV Series E 11.25%, 12/31/49(c)(e)(i)			EUR				620			$	7,825
Societe Generale SA 7.375%, 9/13/21(b)(n)			U.S.$				1,485				1,533,262
7.875%, 12/18/23(b)(n)							778				804,258
8.00%, 9/29/25(b)(n)							1,124				1,183,010
Standard Chartered PLC 7.50%, 4/02/22(b)(n)							1,269				1,301,045
7.75%, 4/02/23(b)(n)							440				451,375
SunTrust Banks, Inc. Series H 5.125%, 12/15/27(n)							604				567,839
UBS Group Funding Switzerland AG 6.875%, 3/22/21(b)(n)							200				206,221
7.00%, 2/19/25(b)(n)							2,492				2,641,924
UniCredit SpA 9.25%, 6/03/22(b)(n)			EUR				1,554				2,011,265
											51,448,254
Brokerage – 0.2%
Lehman Brothers Holdings, Inc. 6.875%, 5/02/18(c)(e)(h)(i)			U.S.$				1,690				48,511
LPL Holdings, Inc. 5.75%, 9/15/25(b)							1,517				1,481,134
											1,529,645
Finance – 1.4%
Compass Group Diversified Holdings LLC 8.00%, 5/01/26(b)							1,235				1,273,539
Curo Group Holdings Corp. 8.25%, 9/01/25(b)							2,079				2,001,724
Enova International, Inc. 8.50%, 9/01/24-9/15/25(b)							1,700				1,703,206
goeasy Ltd. 7.875%, 11/01/22(b)							466				485,632
ILFC E-Capital Trust II 5.03% (H15T 30 Year + 1.80%), 12/21/65(b)(l)							2,000				1,799,740
Lincoln Finance Ltd. 6.875%, 4/15/21(b)			EUR				1,139				1,369,415
Navient Corp. 5.50%, 1/25/23			U.S.$				2,060				2,055,165
5.875%, 3/25/21							324				332,245
6.50%, 6/15/22							406				421,502
6.625%, 7/26/21							231				240,487
6.75%, 6/15/26							665				656,221
7.25%, 1/25/22-9/25/23							899				953,077

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
8.00%, 3/25/20			U.S.$				233			$	246,106
SLM Corp. 5.125%, 4/05/22							605				601,044
Springleaf Finance Corp. 6.875%, 3/15/25							784				781,984
TMX Finance LLC/TitleMax Finance Corp. 11.125%, 4/01/23(b)							890				890,213
											15,811,300
Insurance – 0.8%
Ambac Assurance Corp. 5.10%, 6/07/20(b)(c)							15				19,944
ASR Nederland NV 4.625%, 10/19/27(b)(n)			EUR				840				947,182
Galaxy Bidco Ltd. 6.375%, 11/15/20(b)			GBP				133				172,514
Genworth Holdings, Inc. 7.625%, 9/24/21			U.S.$				1,616				1,638,464
Liberty Mutual Group, Inc. 7.80%, 3/15/37(b)							2,559				2,986,778
Polaris Intermediate Corp. 8.50%, 12/01/22(b)(f)							2,892				2,992,387
WellCare Health Plans, Inc. 5.375%, 8/15/26(b)							650				662,013
											9,419,282
Other Finance – 0.5%
Intrum AB 2.75%, 7/15/22(b)			EUR				977				1,100,070
3.125%, 7/15/24(a)(b)							489				537,888
LHC3 PLC 4.125% (4.125% Cash or 4.875% PIK), 8/15/24(b)(f)							239				277,811
NVA Holdings, Inc./United States 6.875%, 4/01/26(b)			U.S.$				833				831,431
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. 6.75%, 6/01/25(b)							2,464				2,396,191
Travelport Corporate Finance PLC 6.00%, 3/15/26(b)							595				603,437
											5,746,828
REITS – 0.2%
Iron Mountain, Inc. 4.875%, 9/15/27(b)							294				269,840
5.25%, 3/15/28(b)							1,640				1,520,777

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
MPT Operating Partnership LP/MPT Finance Corp. 5.00%, 10/15/27			U.S.$				337			$	326,009
5.25%, 8/01/26							155				154,419
5.50%, 5/01/24							264				265,874
											2,536,919
											86,492,228
Utility – 1.4%
Electric – 1.2%
AES Corp./VA 4.875%, 5/15/23							1,013				1,020,024
Calpine Corp. 5.375%, 1/15/23							2,591				2,452,146
5.50%, 2/01/24							1,316				1,177,820
5.75%, 1/15/25							168				148,786
Clearway Energy Operating LLC 5.375%, 8/15/24							572				576,253
NRG Energy, Inc. 5.75%, 1/15/28(b)							740				747,117
7.25%, 5/15/26							1,791				1,946,683
Talen Energy Supply LLC 4.60%, 12/15/21							3,111				2,665,085
6.50%, 6/01/25							794				601,857
10.50%, 1/15/26(b)							809				733,470
Texas Competitive/TCEH 11.50%, 10/01/20(c)(d)(g)(i)							626				– 0	–
Vistra Energy Corp. 7.375%, 11/01/22							802				833,272
7.625%, 11/01/24							957				1,029,627
											13,932,140
Natural Gas – 0.2%
NGL Energy Partners LP/NGL Energy Finance Corp. 7.50%, 11/01/23							1,947				1,951,745
											15,883,885
Total Corporates – Non-Investment Grade (cost $495,808,974)											488,008,698
COLLATERALIZED MORTGAGE OBLIGATIONS – 11.3%
Risk Share Floating Rate – 9.3%
Bellemeade Re II Ltd. Series 2016-1A, Class B1 14.216% (LIBOR 1 Month + 12.00%), 4/25/26(g)(l)							283				288,206

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

				Principal Amount (000)				U.S. $ Value
Series 2016-1A, Class M2B 8.716% (LIBOR 1 Month + 6.50%), 4/25/26(g)(l)		U.S.$			311			$	312,725
Bellemeade Re Ltd. Series 2015-1A, Class M2 6.516% (LIBOR 1 Month + 4.30%), 7/25/25(g)(l)					383				386,183
Series 2018-2A, Class M1B 3.566% (LIBOR 1 Month + 1.35%), 8/25/28(b)(l)					1,968				1,984,511
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2013-DN1, Class M2 9.366% (LIBOR 1 Month + 7.15%), 7/25/23(l)					2,350				2,809,129
Series 2013-DN2, Class M2 6.466% (LIBOR 1 Month + 4.25%), 11/25/23(l)					1,783				1,988,493
Series 2014-DN1, Class M3 6.716% (LIBOR 1 Month + 4.50%), 2/25/24(l)					1,939				2,241,085
Series 2014-DN2, Class M3 5.816% (LIBOR 1 Month + 3.60%), 4/25/24(l)					514				570,589
Series 2014-DN3, Class M3 6.216% (LIBOR 1 Month + 4.00%), 8/25/24(l)					659				722,702
Series 2014-DN4, Class M3 6.766% (LIBOR 1 Month + 4.55%), 10/25/24(l)					383				426,016
Series 2014-HQ1, Class M3 6.316% (LIBOR 1 Month + 4.10%), 8/25/24(l)					1,686				1,850,738
Series 2014-HQ2, Class M3 5.966% (LIBOR 1 Month + 3.75%), 9/25/24(l)					3,710				4,254,689
Series 2014-HQ3, Class M3 6.966% (LIBOR 1 Month + 4.75%), 10/25/24(l)					4,352				4,828,119
Series 2015-DN1, Class B 13.716% (LIBOR 1 Month + 11.50%), 1/25/25(l)					2,216				3,166,173
Series 2015-DN1, Class M3 6.366% (LIBOR 1 Month + 4.15%), 1/25/25(l)					1,389				1,491,456

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

				Principal Amount (000)				U.S. $ Value
Series 2015-DNA1, Class B 11.416% (LIBOR 1 Month + 9.20%), 10/25/27(l)		U.S.$			597			$	800,839
Series 2015-DNA1, Class M3 5.516% (LIBOR 1 Month + 3.30%), 10/25/27(l)					480				537,360
Series 2015-DNA2, Class B 9.766% (LIBOR 1 Month + 7.55%), 12/25/27(l)					1,459				1,803,836
Series 2015-DNA3, Class B 11.566% (LIBOR 1 Month + 9.35%), 4/25/28(l)					1,028				1,338,033
Series 2015-HQ1, Class B 12.966% (LIBOR 1 Month + 10.75%), 3/25/25(l)					3,883				5,326,583
Series 2015-HQ1, Class M3 6.016% (LIBOR 1 Month + 3.80%), 3/25/25(l)					530				566,580
Series 2015-HQA1, Class B 11.016% (LIBOR 1 Month + 8.80%), 3/25/28(l)					1,011				1,251,103
Series 2015-HQA1, Class M3 6.916% (LIBOR 1 Month + 4.70%), 3/25/28(l)					1,455				1,675,936
Series 2016-DNA2, Class B 12.716% (LIBOR 1 Month + 10.50%), 10/25/28(l)					861				1,151,274
Series 2016-DNA2, Class M3 6.866% (LIBOR 1 Month + 4.65%), 10/25/28(l)					811				933,686
Series 2016-DNA3, Class B 13.466% (LIBOR 1 Month + 11.25%), 12/25/28(l)					2,777				3,848,257
Series 2016-DNA3, Class M3 7.216% (LIBOR 1 Month + 5.00%), 12/25/28(l)					1,113				1,301,725
Series 2016-DNA4, Class B 10.816% (LIBOR 1 Month + 8.60%), 3/25/29(l)					396				476,840
Series 2016-HQA2, Class B 13.716% (LIBOR 1 Month + 11.50%), 11/25/28(l)					423				569,521
Series 2017-DNA2, Class B1 7.366% (LIBOR 1 Month + 5.15%), 10/25/29(l)					415				486,821

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

				Principal Amount (000)				U.S. $ Value
Series 2017-DNA2, Class M2 5.666% (LIBOR 1 Month + 3.45%), 10/25/29(l)		U.S.$			599			$	660,623
Series 2017-DNA3, Class B1 6.666% (LIBOR 1 Month + 4.45%), 3/25/30(l)					615				691,562
Federal National Mortgage Association Connecticut Avenue Securities Series 2013-C01, Class M2 7.466% (LIBOR 1 Month + 5.25%), 10/25/23(l)					1,451				1,668,884
Series 2014-C01, Class M2 6.616% (LIBOR 1 Month + 4.40%), 1/25/24(l)					3,991				4,544,802
Series 2014-C03, Class 1M2 5.216% (LIBOR 1 Month + 3.00%), 7/25/24(l)					1,037				1,111,813
Series 2014-C04, Class 1M2 7.116% (LIBOR 1 Month + 4.90%), 11/25/24(l)					2,664				3,050,479
Series 2015-C01, Class 1M2 6.516% (LIBOR 1 Month + 4.30%), 2/25/25(l)					2,595				2,863,101
Series 2015-C01, Class 2M2 6.766% (LIBOR 1 Month + 4.55%), 2/25/25(l)					1,179				1,275,550
Series 2015-C02, Class 1M2 6.216% (LIBOR 1 Month + 4.00%), 5/25/25(l)					769				845,996
Series 2015-C02, Class 2M2 6.216% (LIBOR 1 Month + 4.00%), 5/25/25(l)					2,127				2,290,309
Series 2015-C03, Class 1M2 7.216% (LIBOR 1 Month + 5.00%), 7/25/25(l)					2,375				2,709,688
Series 2015-C03, Class 2M2 7.216% (LIBOR 1 Month + 5.00%), 7/25/25(l)					2,006				2,239,480
Series 2015-C04, Class 1M2 7.916% (LIBOR 1 Month + 5.70%), 4/25/28(l)					2,785				3,237,922
Series 2015-C04, Class 2M2 7.766% (LIBOR 1 Month + 5.55%), 4/25/28(l)					1,009				1,146,647
Series 2016-C01, Class 1B 13.966% (LIBOR 1 Month + 11.75%), 8/25/28(l)					683				979,825

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

				Principal Amount (000)				U.S. $ Value
Series 2016-C01, Class 1M2 8.966% (LIBOR 1 Month + 6.75%), 8/25/28(l)		U.S.$			2,077			$	2,503,101
Series 2016-C01, Class 2M2 9.166% (LIBOR 1 Month + 6.95%), 8/25/28(l)					747				883,470
Series 2016-C02, Class 1B 14.466% (LIBOR 1 Month + 12.25%), 9/25/28(l)					449				659,838
Series 2016-C02, Class 1M2 8.216% (LIBOR 1 Month + 6.00%), 9/25/28(l)					2,375				2,794,070
Series 2016-C03, Class 1B 13.966% (LIBOR 1 Month + 11.75%), 10/25/28(l)					374				531,691
Series 2016-C03, Class 2B 14.966% (LIBOR 1 Month + 12.75%), 10/25/28(l)					633				908,832
Series 2016-C03, Class 2M2 8.116% (LIBOR 1 Month + 5.90%), 10/25/28(l)					3,707				4,296,478
Series 2016-C04, Class 1B 12.466% (LIBOR 1 Month + 10.25%), 1/25/29(l)					1,493				1,974,997
Series 2016-C05, Class 2B 12.965% (LIBOR 1 Month + 10.75%), 1/25/29(l)					1,820				2,427,813
Series 2016-C05, Class 2M2 6.666% (LIBOR 1 Month + 4.45%), 1/25/29(l)					1,486				1,663,419
Series 2016-C06, Class 1B 11.466% (LIBOR 1 Month + 9.25%), 4/25/29(l)					1,287				1,610,463
Series 2016-C07, Class 2B 11.716% (LIBOR 1 Month + 9.50%), 5/25/29(l)					1,560				1,943,578
Series 2016-C07, Class 2M2 6.566% (LIBOR 1 Month + 4.35%), 5/25/29(l)					918				1,026,846
Series 2017-C01, Class 1B1 7.966% (LIBOR 1 Month + 5.75%), 7/25/29(l)					148				179,348
Series 2017-C02, Class 2M2 5.866% (LIBOR 1 Month + 3.65%), 9/25/29(l)					1,152				1,269,015

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Series 2018-C01, Class 1B1 5.766% (LIBOR 1 Month + 3.55%), 7/25/30(l)			U.S.$				909			$	931,891
JP Morgan Madison Avenue Securities Trust Series 2015-CH1, Class M2 7.716% (LIBOR 1 Month + 5.50%), 10/25/25(b)(l)							1,429				1,584,608
Wells Fargo Credit Risk Transfer Securities Trust Series 2015-WF1, Class 2M2 7.716% (LIBOR 1 Month + 5.50%), 11/25/25(g)(l)							613				710,668
											106,606,015
Non-Agency Fixed Rate – 1.1%
Alternative Loan Trust Series 2006-24CB, Class A15 5.75%, 8/01/36							832				699,430
Series 2006-42, Class 1A6 6.00%, 1/25/47							703				583,738
Series 2006-HY12, Class A5 3.85%, 8/25/36							1,393				1,427,557
Series 2006-J1, Class 1A10 5.50%, 2/25/36							1,217				1,099,828
Series 2006-J5, Class 1A1 6.50%, 9/25/36							917				789,625
Series 2007-13, Class A2 6.00%, 6/25/47							1,151				971,589
Bear Stearns ARM Trust Series 2007-3, Class 1A1 3.962%, 5/25/47							216				194,423
Series 2007-4, Class 22A1 3.916%, 6/25/47							804				737,504
BNPP Mortgage Securities LLC Trust Series 2009-1, Class B1 6.00%, 8/27/37(b)							809				644,081
ChaseFlex Trust Series 2007-1, Class 1A3 6.50%, 2/25/37							558				346,765
Citigroup Mortgage Loan Trust Series 2007-AR4, Class 1A1A 3.859%, 3/25/37							163				159,789
Series 2010-3, Class 2A2 6.00%, 8/25/37(b)							366				294,273
CitiMortgage Alternative Loan Trust Series 2007-A3, Class 1A4 5.75%, 3/25/37							940				906,040

 

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PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Countrywide Home Loan Mortgage Pass-Through Trust Series 2007-HY4, Class 1A1 3.925%, 9/25/47			U.S.$				254			$	237,136
Credit Suisse Mortgage Trust Series 2009-8R, Class 6A2 6.00%, 1/26/38(b)							115				91,555
CSMC Mortgage-Backed Trust Series 2006-7, Class 3A12 6.25%, 8/25/36							354				294,232
Residential Accredit Loans, Inc. Trust Series 2005-QS14, Class 3A1 6.00%, 9/25/35							505				481,356
Residential Asset Securitization Trust Series 2006-A8, Class 3A4 6.00%, 8/25/36							199				167,322
Washington Mutual Mortgage Pass-Through Certificates Trust Series 2006-9, Class A4 4.809%, 10/25/36							1,567				756,585
Wells Fargo Mortgage Backed Securities Trust Series 2007-AR7, Class A1 4.119%, 12/28/37							1,114				1,086,918
											11,969,746
Non-Agency Floating Rate – 0.9%
Alternative Loan Trust Series 2007-7T2, Class A3 2.816% (LIBOR 1 Month + 0.60%), 4/25/37(l)							2,691				1,220,595
Citigroup Mortgage Loan Trust Series 2005-8, Class 2A2 2.584% (4.80% – LIBOR 1 Month), 9/25/35(l)(o)							394				12,624
Countrywide Home Loan Mortgage Pass-Through Trust Series 2007-13, Class A7 2.816% (LIBOR 1 Month + 0.60%), 8/25/37(l)							541				381,511
First Horizon Alternative Mortgage Securities Trust Series 2007-FA2, Class 1A6 3.334% (5.55% – LIBOR 1 Month), 4/25/37(l)(o)							114				12,948
Series 2007-FA2, Class 1A10 2.466% (LIBOR 1 Month + 0.25%), 4/25/37(l)							338				179,088

 

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PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Lehman XS Trust Series 2007-10H, Class 2AIO 4.896% (7.00% – LIBOR 1 Month), 7/25/37(l)(o)			U.S.$				343			$	45,704
Residential Accredit Loans, Inc. Trust Series 2006-QS18, Class 2A2 4.334% (6.65% – LIBOR 1 Month), 12/25/36(l)(o)							4,198				644,774
Structured Asset Mortgage Investments II Trust Series 2007-AR6, Class A1 3.345% (12MTA + 1.50%), 8/25/47(l)							1,471				1,395,048
Wachovia Mortgage Loan Trust Series 2006-ALT1, Class A2 2.396% (LIBOR 1 Month + 0.18%), 1/25/37(l)							9,677				6,537,039
											10,429,331
Total Collateralized Mortgage Obligations (cost $114,445,505)											129,005,092
GOVERNMENTS – TREASURIES – 10.2%
Colombia – 0.2%
Colombian TES Series B 10.00%, 7/24/24			COP				5,438,000				2,158,172
Malaysia – 0.2%
Malaysia Government Bond Series 3/04 5.734%, 7/30/19			MYR				9,297				2,290,380
Mexico – 0.4%
Mexican Bonos Series M 20 7.50%, 6/03/27			MXN				95,733				4,979,524
Russia – 0.4%
Russian Federal Bond – OFZ Series 6209 7.60%, 7/20/22			RUB				37,074				559,059
Series 6217 7.50%, 8/18/21							274,943				4,161,629
											4,720,688

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
United States – 8.9%
U.S. Treasury Bonds 2.75%, 11/15/42(p)			U.S.$				2,600			$	2,405,406
4.50%, 2/15/36(q)							2,400				2,847,375
5.00%, 5/15/37(p)							3,500				4,428,594
5.25%, 2/15/29(q)							5,350				6,385,727
6.125%, 11/15/27(q)							1,900				2,363,125
6.25%, 5/15/30							7,800				10,213,125
8.125%, 5/15/21							5,250				5,940,703
U.S. Treasury Notes 0.875%, 4/15/19(a)(q)							20,074				19,907,763
2.25%, 2/15/27(q)							31,373				29,529,836
2.875%, 8/15/28(q)							17,670				17,399,428
											101,421,082
Uruguay – 0.1%
Uruguay Government International Bond 8.50%, 3/15/28(b)			UYU				23,821				619,238
9.875%, 6/20/22(b)							18,660				552,370
											1,171,608
Total Governments – Treasuries (cost $118,547,825)											116,741,454
CORPORATES – INVESTMENT GRADE – 6.4%
Financial Institutions – 3.5%
Banking – 1.5%
ABN AMRO Bank NV Series E 6.25%, 4/27/22(b)			U.S.$				292				311,314
Bank of America Corp. Series Z 6.50%, 10/23/24(n)							57				61,424
Series DD 6.30%, 3/10/26(n)							3,043				3,269,354
BNP Paribas SA 6.75%, 3/14/22(b)(n)							418				424,128
7.625%, 3/30/21(b)(n)							406				426,390
BPCE SA 5.70%, 10/22/23(b)							208				216,858
Citigroup, Inc. 4.40%, 6/10/25							105				104,978
DNB Bank ASA 6.50%, 3/26/22(b)(n)							1,555				1,594,032
HSBC Holdings PLC 6.00%, 9/29/23(b)(n)			EUR				2,746				3,535,644
ICICI Bank Ltd./Dubai 4.80%, 5/22/19(b)			U.S.$				1,337				1,346,372

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Intesa Sanpaolo SpA 2.75%, 3/20/20(b)			EUR				482			$	574,655
4.00%, 5/20/19(b)							470				557,889
JPMorgan Chase & Co. Series V 5.00%, 7/01/19(n)			U.S.$				210				211,657
Nationwide Building Society 4.302%, 3/08/29(b)							1,500				1,436,397
Regions Bank/Birmingham AL 6.45%, 6/26/37							1,500				1,756,175
Santander Holdings USA, Inc. 4.40%, 7/13/27							1,090				1,041,696
Zions Bancorporation 5.65%, 11/15/23							508				507,881
											17,376,844
Insurance – 1.8%
Aegon NV 5.50%, 4/11/48							757				729,769
Allstate Corp. (The) 6.50%, 5/15/57							1,657				1,836,077
American International Group, Inc. 6.82%, 11/15/37							1,425				1,722,103
Series A-9 5.75%, 4/01/48							616				599,221
Aon Corp. 8.205%, 1/01/27							690				837,370
Assicurazioni Generali SpA Series E 5.50%, 10/27/47(b)			EUR				1,500				1,850,423
Aviva PLC 3.875%, 7/03/44(b)							1,590				1,947,603
Caisse Nationale de Reassurance Mutuelle Agricole Groupama 6.00%, 1/23/27							1,400				1,952,840
CNP Assurances 4.50%, 6/10/47(b)							1,500				1,912,810
MetLife, Inc. 10.75%, 8/01/39			U.S.$				2,350				3,607,180
Prudential Financial, Inc. 5.625%, 6/15/43							1,081				1,122,614
5.875%, 9/15/42							344				364,672
SCOR SE 3.00%, 6/08/46(b)			EUR				200				238,965
Transatlantic Holdings, Inc. 8.00%, 11/30/39			U.S.$				1,261				1,721,758
											20,443,405

 

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PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
REITS – 0.2%
EPR Properties 5.75%, 8/15/22			U.S.$				915			$	956,402
Senior Housing Properties Trust 6.75%, 12/15/21							1,350				1,432,982
Spirit Realty LP 4.45%, 9/15/26							193				184,771
											2,574,155
											40,394,404
Industrial – 2.9%
Basic – 0.7%
Anglo American Capital PLC 3.625%, 9/11/24(b)							200				190,069
4.75%, 4/10/27(b)							637				622,715
ArcelorMittal 6.75%, 3/01/41							362				412,660
7.00%, 10/15/39							978				1,138,515
Braskem Finance Ltd. 6.45%, 2/03/24							1,972				2,102,645
Fresnillo PLC 5.50%, 11/13/23(b)							306				316,328
Georgia-Pacific LLC 8.875%, 5/15/31							1				1,449
Glencore Finance Canada Ltd. 6.00%, 11/15/41(b)							272				282,823
Glencore Funding LLC 4.625%, 4/29/24(b)							341				343,067
Minsur SA 6.25%, 2/07/24(b)							891				913,003
WestRock MWV LLC 7.95%, 2/15/31							1,000				1,291,774
											7,615,048
Capital Goods – 0.3%
General Electric Co. Series D 5.00%, 1/21/21(n)							1,681				1,639,246
Lafarge SA 7.125%, 7/15/36							800				969,455
Masco Corp. 5.95%, 3/15/22							308				328,869
											2,937,570
Communications - Media – 0.1%
Charter Communications Operating LLC/Charter Communications Operating Capital 4.908%, 7/23/25							1,195				1,214,905

 

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PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Cox Communications, Inc. 4.50%, 6/30/43(b)			U.S.$				135			$	115,972
4.70%, 12/15/42(b)							259				229,468
											1,560,345
Communications - Telecommunications – 0.2%
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC 4.738%, 3/20/25(b)							1,340				1,341,715
5.152%, 3/20/28(b)							1,340				1,349,769
											2,691,484
Consumer Cyclical - Automotive – 0.1%
General Motors Co. 5.20%, 4/01/45							337				305,949
5.40%, 4/01/48							431				401,383
6.25%, 10/02/43							116				118,804
6.75%, 4/01/46							456				494,373
											1,320,509
Consumer Cyclical - Other – 0.2%
GLP Capital LP/GLP Financing II, Inc. 5.375%, 4/15/26							674				684,334
5.75%, 6/01/28							67				69,079
Owens Corning 7.00%, 12/01/36							777				891,727
											1,645,140
Consumer Non-Cyclical – 0.2%
CVS Health Corp. 4.78%, 3/25/38							2,140				2,133,608
Energy – 0.4%
Cenovus Energy, Inc. 4.45%, 9/15/42							822				717,749
6.75%, 11/15/39							67				75,627
Ecopetrol SA 5.875%, 5/28/45							1,271				1,256,701
Energy Transfer Partners LP/Regency Energy Finance Corp. 4.50%, 11/01/23							546				553,787
Kinder Morgan, Inc./DE Series G 7.75%, 1/15/32							328				413,007
7.80%, 8/01/31							1,066				1,326,715
											4,343,586

 

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PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Other Industrial – 0.1%
Alfa SAB de CV 5.25%, 3/25/24(b)			U.S.$				1,580			$	1,616,538
Services – 0.1%
Verisk Analytics, Inc. 5.50%, 6/15/45							636				647,738
Technology – 0.5%
Dell International LLC/EMC Corp. 6.02%, 6/15/26(b)							1,318				1,407,728
8.35%, 7/15/46(b)							524				652,469
Micron Technology, Inc. 5.50%, 2/01/25							686				709,138
Seagate HDD Cayman 4.75%, 1/01/25							1,948				1,869,455
4.875%, 6/01/27							1,082				1,014,357
											5,653,147
Transportation - Airlines – 0.0%
America West Airlines Pass Through Trust Series 1999-1G, Class G 7.93%, 1/02/19							187				189,523
Northwest Airlines Pass Through Trust Series 2000-1, Class G 7.15%, 10/01/19(e)							178				178,095
											367,618
											32,532,331
Utility – 0.0%
Electric – 0.0%
DPL, Inc. 6.75%, 10/01/19							171				175,997
Total Corporates – Investment Grade (cost $67,579,408)											73,102,732
EMERGING MARKETS – SOVEREIGNS – 5.6%
Angola – 0.2%
Angolan Government International Bond 9.50%, 11/12/25(b)							1,782				2,020,343
Republic of Angola Via Northern Lights III BV 7.00%, 8/17/19(b)							342				344,740
											2,365,083

 

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PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Argentina – 0.5%
Argentine Republic Government International Bond 6.875%, 1/26/27			U.S.$				4,592			$	3,903,200
7.50%, 4/22/26							150				133,875
7.82%, 12/31/33			EUR				1,674				1,856,134
											5,893,209
Bahrain – 0.1%
Bahrain Government International Bond 6.75%, 9/20/29(b)			U.S.$				528				512,820
7.00%, 10/12/28(b)							1,253				1,246,735
											1,759,555
Brazil – 0.1%
Brazilian Government International Bond 4.625%, 1/13/28							1,830				1,676,673
Cameroon – 0.1%
Republic of Cameroon International Bond 9.50%, 11/19/25(b)							1,222				1,286,155
Costa Rica – 0.1%
Costa Rica Government International Bond 4.37%, 5/22/19(b)							858				853,080
Dominican Republic – 0.8%
Dominican Republic International Bond 5.95%, 1/25/27(b)							1,553				1,581,731
7.45%, 4/30/44(b)							1,283				1,372,810
8.625%, 4/20/27(b)							5,719				6,505,362
											9,459,903
Ecuador – 0.1%
Ecuador Government International Bond 7.95%, 6/20/24(b)							667				635,317
10.50%, 3/24/20(b)							1,069				1,108,444
											1,743,761
Egypt – 0.3%
Egypt Government International Bond 6.125%, 1/31/22(b)							3,009				3,001,478
El Salvador – 0.1%
El Salvador Government International Bond 5.875%, 1/30/25(b)							300				279,000